美元弱势调整的内生性及其宏观决定因素

发布时间：2018-01-06 17:05

本文关键词：美元弱势调整的内生性及其宏观决定因素　出处：《社会科学家》2011年10期 　论文类型：期刊论文

【摘要】：次贷危机后美元全面走弱,引发各界对美元走势的特别关注。两变量协整分析和因果检验显示,美元实际有效汇率与单个宏观决定因素之间都没有长期稳定的协整关系,而美元实际贬值是改善美国贸易逆差、降低美国失业率的格兰杰成因,为削减巨额的贸易逆差和居高不下的失业率,美国实施美元弱势调整策略具有内生性。并且,美国削减联邦赤字占GDP百分比、美国实际GDP增长持续低迷是美元实际贬值的格兰杰成因,内生造成了美元走弱。多变量综合分析表明,美元实际汇率内生地取决于美国实际GDP、货币供给量、政府支出、外国实际GDP和美国贸易逆差等因素。多变量长期协整关系证实,美国实际GDP增长持续低迷致使美元陷入弱势调整,美联储量化宽松的货币政策加剧了本轮美元贬值调整,美国实际贸易逆差的持续上升造成了长期内美元向弱势调整。模型误差修正项具有统计上显著的负向影响,说明美元在短期波动中具有向长期均衡反向修正的动力。
[Abstract]:After the subprime mortgage crisis the dollar weakened all over the world causing special attention to the trend of the dollar. Two-variable cointegration analysis and causality test show. There is no long-term stable cointegration relationship between the real effective exchange rate of the dollar and a single macro determinant, and the real depreciation of the dollar is the Granger cause of improving the US trade deficit and reducing the US unemployment rate. In order to reduce the huge trade deficit and the high unemployment rate, it is endogenous for the United States to implement the dollar weak adjustment strategy. Moreover, the United States reduces the federal deficit as a percentage of GDP. The sustained downturn in the real GDP growth of the United States is the Granger cause of the real depreciation of the US dollar, which is caused by the weakening of the US dollar. The multivariate comprehensive analysis shows that the real exchange rate of the US dollar endogenously depends on the actual GDP of the United States. Currency supply, government spending, real foreign GDP and the U.S. trade deficit, and other factors. The multivariate long-term cointegration relationship confirms that the US dollar is in a weak position because of the continued downturn in real GDP growth. The Fed's monetary policy of quantitative easing has exacerbated this round of dollar depreciation adjustments. The continuous rise of the real trade deficit of the United States has resulted in a long-term adjustment of the dollar to weakness. The correction of the model error has a statistically significant negative impact. This shows that the dollar has the power to reverse the correction to long-term equilibrium in short-term fluctuations.
【作者单位】：复旦大学经济学院;复旦大学世界经济研究所;
【基金】：国家社会科学基金项目(批准号:11BJY142)资助教育部人文社会科学重点研究基地项目基金(批准号:08JJD790138)资助上海市浦江人才计划项目(2011C)资助复旦大学“985工程”三期整体推进社会科学研究项目(批准号:2011SHKXZD002)资助
【分类号】：F224;F827.12
【正文快照】： 一、问题的提出2002年以来,美国强势美元政策逐渐发生逆转,美元开始走向弱势调整。特别是2007年美国爆发次贷危机后,随着美联储推出量化宽松的货币政策,使得美元对主要货币的汇率全面走弱。进入2011年,在市场对美国债务危机的担忧下,美元难以走出持续下跌的颓势。美联储接连

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